Risk models are statistical models relying heavily on historical market data. A bank’s VaR model typically employs 120 to 450k time series with 10 years history. These models are quite sensitive to data quality given that the risk measurement captures the tail. Further data quality issue can play up by...

We analyze the processing of information from social media and news media, using a unique dataset on financial markets. We find patterns consistent with a theory of social media as an “echo chamber”: Social networks repeat information, but boundedly rational investors interpret repeated signals as new information. This is based...

This interview took place at the Deep Learning in Finance Summit, London 2017.
Anthony spoke with Jakob to find out more about him and his thoughts on the following questions:
- Tell us a little bit more about your background and how you got started in FinTech.
- How do...